support fractional size (#206)

wboayue · Dec 26, 2024 · a894b52 · a894b52
1 parent ca6054c
commit a894b52
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Showing 4 changed files with 8 additions and 8 deletions.
diff --git a/src/market_data/realtime.rs b/src/market_data/realtime.rs
@@ -44,9 +44,9 @@ pub struct BidAsk {
     /// tick-by-tick real-time tick ask price
     pub ask_price: f64,
     /// tick-by-tick real-time tick bid size
-    pub bid_size: i64,
+    pub bid_size: f64,
     /// tick-by-tick real-time tick ask size
-    pub ask_size: i64,
+    pub ask_size: f64,
     /// tick-by-tick real-time bid/ask tick attribs (bit 0 - bid past low, bit 1 - ask past high)
     pub bid_ask_attribute: BidAskAttribute,
 }

diff --git a/src/market_data/realtime/decoders.rs b/src/market_data/realtime/decoders.rs
@@ -71,8 +71,8 @@ pub(super) fn decode_bid_ask_tick(message: &mut ResponseMessage) -> Result<BidAs
     let date = message.next_date_time()?;
     let bid_price = message.next_double()?;
     let ask_price = message.next_double()?;
-    let bid_size = message.next_long()?;
-    let ask_size = message.next_long()?;
+    let bid_size = message.next_double()?;
+    let ask_size = message.next_double()?;
     let mask = message.next_int()?;
 
     Ok(BidAsk {

diff --git a/src/market_data/realtime/decoders/tests.rs b/src/market_data/realtime/decoders/tests.rs
@@ -91,8 +91,8 @@ mod bid_ask_tests {
         assert_eq!(bid_ask.time, OffsetDateTime::from_unix_timestamp(1678745793).unwrap(), "Wrong timestamp");
         assert_eq!(bid_ask.bid_price, 3895.50, "Wrong bid price");
         assert_eq!(bid_ask.ask_price, 3896.00, "Wrong ask price");
-        assert_eq!(bid_ask.bid_size, 9, "Wrong bid size");
-        assert_eq!(bid_ask.ask_size, 11, "Wrong ask size");
+        assert_eq!(bid_ask.bid_size, 9.0, "Wrong bid size");
+        assert_eq!(bid_ask.ask_size, 11.0, "Wrong ask size");
         assert_eq!(bid_ask.bid_ask_attribute.bid_past_low, true, "Wrong bid past low flag");
         assert_eq!(bid_ask.bid_ask_attribute.ask_past_high, true, "Wrong ask past high flag");
     }

diff --git a/src/market_data/realtime/tests/tick_data_tests.rs b/src/market_data/realtime/tests/tick_data_tests.rs
@@ -25,8 +25,8 @@ fn test_tick_by_tick_bid_ask() {
     let tick = &received_ticks[0];
     assert_eq!(tick.bid_price, 3895.50, "Wrong bid price");
     assert_eq!(tick.ask_price, 3896.00, "Wrong ask price");
-    assert_eq!(tick.bid_size, 9, "Wrong bid size");
-    assert_eq!(tick.ask_size, 11, "Wrong ask size");
+    assert_eq!(tick.bid_size, 9.0, "Wrong bid size");
+    assert_eq!(tick.ask_size, 11.0, "Wrong ask size");
 
     // Verify request message
     let request_messages = client.message_bus.request_messages();